ChaoZhang
概述
该策略基于移动平均线形成交易通道,当价格突破通道上下轨时产生交易信号。属于典型的趋势跟踪策略,通过参数优化实现简单有效的长短持仓操作。
策略原理
计算移动平均线,可选择SMA/EMA/WMA/RMA等多种类型。
通道上轨为移动平均线的一定比例增量。下轨为一定比例减量。
价格突破上轨时做多;突破下轨时做空。可选择仅做多、仅做空或双向交易。
设置止盈止损点。止盈点为入场价格的一定比例增量。止损点为一定比例减量。
优势分析
移动平均线计算简单,容易实现趋势判断。
可调参数实现不同持仓时间和风险偏好。
做多做空可选,适应多种市场情况。
止盈止损固定比例,可控性强。
风险分析
趋势突变时容易被套。
参数设置不当可能导致过于频繁或滞后交易。
固定比例止盈止损不够灵活。
双向交易增加交易频率和手续费成本。
优化方向
优化移动平均线参数,平衡延迟和噪音。
优化通道带宽度,匹配市场波动频率。
测试不同止盈止损设置。动态止损更有效。
增加趋势、振荡指标等判断大市。
加入时间段过滤,避开重大事件影响。
总结
该策略通过移动平均线通道实现简单的趋势跟随,但需要强化参数优化和风险控制。在此基础上,可引入更多技术指标进一步完善策略逻辑。
策略源码
/*backtest
start: 2023-08-17 00:00:00
end: 2023-09-16 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TaylorTneh
//@version=4
// strategy("Moving Average Band Taylor V1",shorttitle="MA Band+",overlay=true,default_qty_type=strategy.cash,default_qty_value=1000,initial_capital=1000,currency=currency.USD,commission_value=.1)
price = input(close, title="Source")
mabtype = input(title="Moving Average Type", defval="RMA", options=["SMA", "EMA", "RMA", "WMA"])
malen = input(10, "MA Period : 10")
magap = input(0.6, "Band Gap : 0.6", minval = -10, maxval = 10, step = 0.1)
mabup = if mabtype == "SMA"
sma(high, malen)
else
if mabtype == "EMA"
ema(high, malen)
else
if mabtype == "WMA"
wma(high, malen)
else
if mabtype == "RMA"
rma(high, malen)
mabdn = if mabtype == "SMA"
sma(low, malen)
else
if mabtype == "EMA"
ema(low, malen)
else
if mabtype == "WMA"
wma(low, malen)
else
if mabtype == "RMA"
rma(low, malen)
upex = mabup * (1 + magap/100)
dnex = mabdn * (1 - magap/100)
plot(upex, "Upper MA Band", color.orange)
plot(dnex, "Lower MA Band", color.orange)
//-------------------------------------------- (Strategy)
strategy.entry("Long", strategy.long, stop = upex)
strategy.entry("Short", strategy.short, stop = dnex)
//Long Only//strategy.entry("Long", strategy.long, stop = upex)
//Long Only//strategy.exit("Short", stop = dnex)
//Short Only//strategy.entry("Short", strategy.short, stop = dnex)
//Short Only//strategy.exit("Long", stop = upex)
//-------------------------------------------- (Take Profit & Stop Lose)
stopPer = input(500.0, title='# Stop Loss %', type=input.float) / 100
takePer = input(500.0, title='# Take Profit %', type=input.float) / 100
//Determine where you've entered and in what direction
longStop = strategy.position_avg_price * (1 - stopPer)
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)
longTake = strategy.position_avg_price * (1 + takePer)
if strategy.position_size > 0
strategy.exit(id="L-TP/SL", stop=longStop, limit=longTake)
if strategy.position_size < 0
strategy.exit(id="S-TP/SL", stop=shortStop, limit=shortTake)
//-------------------------------------------- (Sample Time Filter Strategy)
//fromyear = input(2018, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
//toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
//frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
//tomonth = input(10, defval = 10, minval = 01, maxval = 12, title = "To Month")
//fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
//today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//strategy.entry("Long", strategy.long, stop = upex, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
//strategy.entry("Short", strategy.short, stop = dnex, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
//--------------------------------------------